Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). We show that by a countable mixture of these strategies, a gambler or an investor can exploit arbitrary patterns of deviations of nature's moves from independent Bernoulli trials. We then apply our scheme to asset trading games in continuous time and derive the exponential growth rate of the investor's capital when the variation exponent of the asset price path deviates from two.
|Date of creation:||Feb 2008|
|Date of revision:||Mar 2008|
|Publication status:||Published in Stochastic Analysis and Applications, Vol.28 (2010), 842-861|
|Contact details of provider:|| Web page: http://arxiv.org/|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Masayuki Kumon & Akimichi Takemura & Kei Takeuchi, 2005. "Capital process and optimality properties of a Bayesian Skeptic in coin-tossing games," Papers math/0510662, arXiv.org, revised Sep 2008.
- Vladimir Vovk, 2007. "Continuous-time trading and emergence of randomness," Papers 0712.1275, arXiv.org, revised Dec 2007.
- Vladimir Vovk, 2007. "Continuous-time trading and emergence of volatility," Papers 0712.1483, arXiv.org, revised Dec 2007.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:0802.4311. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.